I suppose you mean in your computer - not that you want to contribute to the artwork Funny - I haven't even thought about where it's stored - but you don't have to know.
Just right click the desktop and select "Change wallpaper"
In the dialog that opens you have an option to add wallpaper

But if you really want to know, they are in /usr/share/backgrounds in the GNOME version. In the XFCE version it's /usr/share/xfce4/backdrops (although /usr/share/backgrounds works as well since there is a sym-link).

However, the easiest way to add is to do what Husse said in the post above for the GNOME version. In XFCE you right-click > Desktop Settings, and just click on the folder icon and point it to your own backgrounds.

Your right Husse, I don't have to know where the files are stored ! I asked because I wanted to know. As your signature says ' don't fix it if it ain't broken, don't break it if you can't fix it ' I want to understand Linux and the best way to learn is to ask wouldn't you say ! I strive to be an expert some day lol. Thanks for the direct answer to my question Lola Uila, much appreciated.